Two types of MgB2 films were prepared by pulsed laser deposition (PLD) with in situ and ex situ annealing processes respectively. Significant differences in properties between the two types of films were found. The ex situ MgB2 film has a Tc of 38.1K, while the in situ film has a depressed Tc of 34.5K. The resistivity at 40K for the in situ film is larger than that of the ex situ film by a factor of 6. The residual resistivity ratios (RRR) are 1.1 and 2.1 for the in situ and ex situ films respectively. The Jc-H curves of the in situ film show a much weaker field dependence than those of the ex situ film, attributable to stronger flux pinning in the in situ film. The small-grain feature and high oxygen level may be critical for the significant improvement of Jc in the in situ annealed MgB2 film.